The EBA’s Final Report on the feasibility of a framework for Simple, Transparent and Standardised (STS) Synthetic Securitisations is a cautious step forward.
Key Points:
..The EBA has made a proposal to extend the STS framework to synthetic securitisations in balance sheet form subject to compliance with certain criteria.
..The STS criteria are based on those applicable to STS traditional securitisations, which have been adapted to the synthetic space, with the addition of further criteria reflecting specific features of synthetic securitisations. Certain concerns that market participants raised in response to last year’s EBA consultation have been addressed.
..The EBA has also proposed that the European Commission consider implementing a differentiated regulatory capital treatment for senior tranches of balance sheet synthetic STS securitisations, retained by originating banks, and has given the European Commission the tools it requires for making its decision.
Please see full publication below for more information.
